Bankruptcy prediction using multiple intelligent agent system via a localized generalization error approach

Authors

Daniel S. YEUNG, MiLeS Computing Laboratory, Shenzhen Graduate School, Harbin Institute of Technology, Shenzhen, China
W. Y., Wing NG, MiLeS Computing Laboratory, Shenzhen Graduate School, Harbin Institute of Technology, Shenzhen, 518055, China, Department of Computing, Hong Kong Polytechnic University, Hong Kong, Hong Kong
P. F., Aki CHAN, Department of Computing, Hong Kong Polytechnic University, Hong Kong, Hong KongFollow
P. K., Patrick CHAN, Department of Computing, Hong Kong Polytechnic University, Hong Kong, Hong KongFollow
Michael FIRTH, Department of Finance and Insurance, Lingnan University, Hong Kong
C. C., Eric TSANG, Department of Computing, Hong Kong Polytechnic University, Hong Kong

Document Type

Conference paper

Source Publication

Proceedings of the 2007 International Conference on Service Systems and Service Management, ICSSSM'07

Publication Date

1-1-2007

Publisher

Institute of Electrical and Electronics Engineers

Abstract

Company Bankruptcy costs a loss of billions of dollars to banks each year. Thus bankruptcy prediction is a critical part of a bank's loan approval decision process. Traditional financial models for bankruptcy prediction are no longer adequate for describing today's complex relationship between the financial health and potential bankruptcy of a company. In this work, a multiple classifier system (embedded in a multiple intelligent agent system) is proposed to predict the financial health of a company. In our model, each individual agent (classifier) makes a prediction on the likelihood of bankruptcy based on only partial information of the company. Each of the agents is an expert, having certain part of the knowledge (represented by features) of the company. The decisions of all agents are combined together to form a final bankruptcy prediction. Preliminary experiments show that our model out-performs other existing methods using the benchmarking Compustat American Corporations dataset.

DOI

10.1109/ICSSSM.2007.4280079

Publisher Statement

Copyright © 2007 IEEE. Access to external full text or publisher's version may require subscription.

Additional Information

Paper presented at the 2007 International Conference on Service Systems and Service Management (ICSSSM'07), 9-11 June 2007, Changdu, China.

ISBN of the source publication: 9781424408856

Full-text Version

Publisher’s Version

Language

English

Recommended Citation

Yeung, D. S., Ng, W. W. Y., Chan, A. P. F., Chan, P. P. K., Firth, M., & Tsang, E. C. C. (2007). Bankruptcy prediction using multiple intelligent agent system via a localized generalization error approach. In Proceedings of the 2007 International Conference on Service Systems and Service Management, ICSSSM'07. Piscataway: Institute of Electrical and Electronics Engineers. doi: 10.1109/ICSSSM.2007.4280079